Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.2152
Annualized Std Dev 0.8046
Annualized Sharpe (Rf=0%) -0.2675

Row

Daily Return Statistics

Close
Observations 3111.0000
NAs 1.0000
Minimum -0.6011
Quartile 1 -0.0224
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean -0.0010
Quartile 3 0.0246
Maximum 0.4033
SE Mean 0.0009
LCL Mean (0.95) -0.0014
UCL Mean (0.95) 0.0022
Variance 0.0026
Stdev 0.0507
Skewness -0.7322
Kurtosis 13.2511

Downside Risk

Close
Semi Deviation 0.0372
Gain Deviation 0.0347
Loss Deviation 0.0402
Downside Deviation (MAR=210%) 0.0411
Downside Deviation (Rf=0%) 0.0370
Downside Deviation (0%) 0.0370
Maximum Drawdown 0.9956
Historical VaR (95%) -0.0759
Historical ES (95%) -0.1214
Modified VaR (95%) -0.0795
Modified ES (95%) -0.1721
From Trough To Depth Length To Trough Recovery
2014-06-24 2020-03-23 NA -0.9956 1698 1447 NA
2011-05-02 2011-10-03 2014-04-01 -0.6951 734 108 626
2008-11-11 2009-03-05 2010-12-22 -0.6869 533 78 455
2011-03-04 2011-03-16 2011-03-29 -0.1856 18 9 9
2011-04-06 2011-04-12 2011-04-29 -0.1563 17 5 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -30.1 3 -28
2009 -2.7 -7.6 6 9 10.3 0.4 1.7 -5.3 -7.5 -10.5 3.9 -2.9 -7.4
2010 9.4 2.7 4.9 -3.5 -12.6 -0.8 -0.4 10.8 3.7 1.1 8.4 0.2 23.8
2011 5.2 -4.8 0.9 5 -6.7 3 -0.5 -2.5 -7.8 -9.6 -1.5 -0.1 -19
2012 1.3 2.9 2 4.1 -6.7 8.7 1.6 2.7 1.5 1.4 -0.4 6.1 27.3
2013 2.7 -0.4 -0.6 -4.8 -6 2.3 5 -0.2 2 -1.2 -0.7 2.8 0.5
2014 -3.9 1.5 1.8 -0.7 -0.3 0.1 -2.4 1.8 -6.2 6 1.4 -2.1 -3.5
2015 2.5 -1.3 0.8 0.6 -0.6 -3.6 -6.5 -10.7 0.8 2.2 2.2 1.3 -12.6
2016 -5.2 6.9 -4.4 -0.8 0.6 1.6 -9.9 -0.6 3.9 0.1 0.9 -0.8 -8.6
2017 -2.2 6.1 -0.9 -0.6 1.8 1 0 2.7 0 3.3 2.3 -0.9 13.1
2018 3 -0.5 6.3 -1.9 1.5 2 -4.2 -2.3 4.5 2.6 -1 1.4 11.4
2019 5.3 5.4 4.1 -6.5 -4.8 0.4 -6.8 0 -6.7 7.3 -2.9 1.7 -4.8
2020 -9.2 2.7 -10.4 -11.6 3.5 -4.8 -1.2 -1.5 -6.3 1.1 0.9 -1.8 -33.6
2021 1.3 5.2 0 NA NA NA NA NA NA NA NA NA 6.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-06  474. SPY    90.9 -0.0554  -0.0565  -0.0682   -0.298   -0.386   -0.256   -0.142 GLD    72.2 -0.008   -0.0067
2 2008-11-07  540  SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232   -0.118 GLD    72.5  0.0039   0.0163
3 2008-11-10  558. SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242   -0.123 GLD    73.6  0.0149   0.0349
4 2008-11-11  515  SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
5 2008-11-12  413. SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
6 2008-11-13  535. SPY    91.2  0.0623   0.0034   0.0128   -0.300   -0.383   -0.263   -0.143 GLD    72.2  0.0307  -0.001 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart